Let's say you're in a dungeon and for whatever reason, you turn the volume of the amazing soundtrack down to 0. Now if you beat that dungeon and go back to your kingdom and turn your volume back up - no music to be heard!

If you kept the volume at 0 and turned it up after entering a new dungeon, the music wouldn't play either. You can only fix it by turning the volume back up before the game is loading a new song i. e. before entering another dungeon/going back your Kingdom.